Archive for July 2015
China Volatility Reaches New Highs
While most China pundits focus on the dramatic drop in prices on the Shanghai Composite Index (SSE), I haven’t seen any comments on volatility. The annualized volatility measured by a conditional volatility model is hovering around 60%. The average annualized volatility for this index going back to January 2001 is 12% so this is quite…
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